Weak convergence of assets processes with stochastic interest return

DOI10.1080/03461238.1986.10413797zbMath0648.62105OpenAlexW1983207784MaRDI QIDQ3793591

Harald Braun

Publication date: 1986

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.1986.10413797

zbMATH Keywords

weak convergenceWiener processdiffusion approximationruin probabilityrenewal processrisk processesassets process

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05) Markov renewal processes, semi-Markov processes (60K15) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Related Items

A theory of risk, return and solvency, Diffusion premiums for claim severities subject to inflation, Weak convergence of random growth processes with applications to insurance

Cites Work

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• Ruin problems with compounding assets
• Regenerative stochastic processes
• Diffusion approximations in collective risk theory
• Weak convergence of probability measures and random functions in the function space D[0,∞)